Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0680
Annualized Std Dev 0.2423
Annualized Sharpe (Rf=0%) 0.2806

Row

Daily Return Statistics

Close
Observations 3554.0000
NAs 1.0000
Minimum -0.1681
Quartile 1 -0.0062
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0075
Maximum 0.1323
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0153
Skewness -0.7626
Kurtosis 14.2999

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0104
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7067
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0505
From Trough To Depth Length To Trough Recovery
2007-07-20 2008-11-20 2013-02-01 -0.7067 1362 338 1024
2018-09-24 2020-03-18 2021-01-06 -0.5843 576 373 203
2015-04-13 2016-02-11 2017-07-19 -0.3355 573 212 361
2013-12-02 2014-02-03 2014-03-05 -0.1077 64 43 21
2014-03-10 2014-10-13 2015-02-20 -0.0973 241 152 89

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.4 -0.4
2007 0.2 -0.3 0 -0.6 0.7 -0.4 -0.2 1.2 0.5 -2.2 1.3 0 0.1
2008 2.1 -2.4 2.9 2 -0.5 -0.9 -0.8 -0.6 -1.8 3.9 -5.1 2.4 0.9
2009 -4.7 -2 1.8 -1.5 4.4 1.5 2.8 -1.7 -2.3 -2.8 1.9 -0.4 -3.5
2010 1 1.5 0.2 -1.6 -0.9 -1.3 0.1 2.9 -0.8 -0.7 1.4 -0.4 1.2
2011 1.9 -0.3 0.8 0.7 -1.7 2.3 -0.8 -1.4 -0.3 -4.1 0.3 -0.1 -2.6
2012 1.7 0 -0.1 -0.1 -2 3 -0.6 0.8 0.5 1.4 0.7 1.8 7.3
2013 1.3 0.1 -0.2 -1.5 -1.2 0.9 1 -1.3 1.4 -0.3 0.1 0.6 0.8
2014 -0.3 0.4 1.8 -0.5 0 -0.2 -0.5 0.5 -1.3 0.8 -1.7 -1.1 -2.2
2015 -1.2 -0.5 0.5 0.6 -0.1 0.3 0.3 -2.5 -0.3 0.3 0.7 -0.8 -2.8
2016 -0.7 1.4 0.8 -0.5 0.7 0.4 -0.1 0.3 0.7 -0.5 -1.1 -0.3 1.1
2017 -0.1 1.2 0.1 0.1 0.8 0.7 0 0.4 0.5 -0.3 0.1 -0.4 3.2
2018 -0.1 -0.8 1.7 -0.1 0.6 1.3 -0.6 -0.1 -0.8 1 0.4 1.1 3.7
2019 -0.1 1 1.7 -0.7 -1.8 0.3 -1.8 0.4 -2.1 1.9 -0.7 0.1 -1.8
2020 -1.8 -0.7 -6.6 -5.2 2.5 -0.4 1.7 1.7 0.8 -0.7 0.6 0.1 -8.2
2021 1.4 2.5 0 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-12-15  25.2 SPY    142.  1.00e-4   0.0121  0.0222    0.0832    0.123    0.323    0.265 GLD    61   -0.018    -0.0169
2 2006-12-18  24.9 SPY    142. -2.70e-3   0.0008  0.0112    0.0769    0.123    0.308    0.242 GLD    61.0  0.0007   -0.0245
3 2006-12-19  25.0 SPY    142.  1.90e-3   0.0035  0.0128    0.0733    0.131    0.296    0.237 GLD    61.8  0.0125   -0.0115
4 2006-12-20  25.0 SPY    142. -6.00e-4   0.0019  0.0117    0.0779    0.130    0.305    0.228 GLD    61.6 -0.00290  -0.0138
5 2006-12-21  24.9 SPY    142. -3.70e-3  -0.0105  0.007     0.0772    0.124    0.291    0.235 GLD    61.4 -0.0039   -0.0119
6 2006-12-22  25.0 SPY    141. -6.10e-3  -0.0112 -0.00120   0.0624    0.111    0.283    0.224 GLD    61.6  0.0044    0.0107
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart